Stress Testing & Capital Planning (DFAST)

Principal workflows

• Define scenarios: Supervisory scenarios published by regulators are loaded as issued, and your own baseline, adverse and institution-specific scenarios are built alongside them with each variable's path over the planning horizon.
• Project: Each run combines an approved scenario with versioned models, the starting balance sheet and planned capital actions, and projects losses, revenue, balances and capital ratios quarter by quarter.
• Challenge and adjust: Results are reviewed by model owners, finance and model risk. Any management overlay is entered as an adjustment with its size, rationale and approver, never as an edited number.
• Plan and report: The locked results feed the capital plan, the board pack and, where required, the public disclosure, with each figure traceable to its run.

Who uses it

• Treasury, capital planning and stress testing teams at banks and credit unions
• Chief financial officers and treasurers who own the capital plan
• Model owners for credit loss, revenue and balance sheet projections
• Model risk management and validation teams who challenge the process
• Boards, internal audit and examiners, who need to see how results were produced

Reporting

• Projected capital ratios by scenario and quarter
• Losses, revenue and balances by portfolio and scenario
• Overlays by size, rationale and approver
• Run comparisons between scenarios and cycles
• Open challenges and their responses
• Scenario and model version history for examiners

Features

• Scenario library: Supervisory scenarios loaded as published and internal scenarios built alongside them, each with a narrative, variable paths and version history.
• Scenario designer: Build institution-specific scenarios from a baseline by shocking variables such as unemployment, house prices or interest rates, and record why the scenario is severe but plausible for you.
• Model orchestration: Connect your loss, revenue and balance sheet models, run them in the product or load their outputs, and keep the version used in each run.
• Capital projection: Project regulatory capital, risk-weighted assets and capital and leverage ratios for each quarter of the planning horizon.
• Capital actions: Model planned dividends, share repurchases and issuances, and see their effect on projected ratios under each scenario.
• Recorded overlays: Management adjustments entered as separate, approved items with their rationale, so the model result and the adjustment can both be seen.
• Sensitivity and reverse stress testing: Change one assumption at a time to see what drives the result, or search for the conditions under which a ratio would fall below the level you set.
• Run lineage: Every run records the scenario, model versions, data snapshot, overlays and user, so any result can be reproduced.
• Effective challenge log: Questions from reviewers and model risk, the responses and the resulting changes, kept with the run they concern.
• Board and disclosure packs: Standard tables and charts for board packs and summary results for public disclosure, generated from locked runs.
• Run comparison: Compare two runs or two cycles line by line and see which input caused each difference.
• Exam-ready audit trail: Who changed, ran, approved or exported what, and when, for every scenario, run and overlay.

Integrations

• General ledger and finance data: Starting balance sheet, income statement and regulatory capital figures from your finance systems.
• Loan and deposit systems: Portfolio data at the level your models need, such as loan segments, balances, rates and risk grades.
• Model platforms: Models run in your own environment can send their outputs, and receive the scenario variables they need.
• Economic data: Supervisory scenario files and economic data your institution subscribes to, loaded into the scenario library.
• Model inventory: Model versions, owners and validation status shared with Moraph's Model Risk Management (MRM) Validator or your own inventory.
• Single sign-on: Staff sign in through your identity provider (SAML or OpenID Connect).
• Work API: Run results and lineage available to your data warehouse and reporting tools through the Moraph Work API.

Deployment

• Moraph cloud: Hosted and operated by Moraph in the United States region. United Kingdom and Australia regions are available for institutions outside the US.
• Dedicated environment: A single-tenant environment for institutions whose policies require isolation, scoped in the proposal.
• With a managed service: Optionally run alongside a Moraph managed service for data loading support and platform administration during each cycle.

Security and privacy

• Single sign-on: Staff sign in through your identity provider, so your password and multi-factor policies apply.
• Role-based access: What each person can see and do follows their role; entering an overlay is separate from approving it.
• Locked results: Approved scenarios and final runs are locked; any later change creates a new version rather than altering the record.
• Encryption and keys: Client data is encrypted, with keys Moraph staff cannot use without explicit, time-bound authorization.
• Complete audit trail: Every view, change, run, approval and export is logged with the person and time, and cannot be edited.
• Data residency: Data stays in the hosting region you choose: the United States, the United Kingdom or Australia.

Limitations

• The product projects capital from the scenarios, models and assumptions you approve; it does not decide what capital your institution should hold. Capital decisions are made by your management and board.
• Projections are only as sound as the models and data behind them. Your models remain your institution's responsibility and should be validated under your model risk process.
• It does not submit regulatory reporting forms or capital plans to regulators; your team files them.
• Supervisory scenarios are loaded as regulators publish them. The product does not predict or design supervisory scenarios.
• It is designed for US capital and stress testing requirements. Other jurisdictions' stress testing regimes are not included as configured templates.
• It does not calculate allowance for credit losses for accounting purposes; that is handled by a separate CECL or IFRS 9 process.
• Liquidity stress testing is not included.
• Built-in calculation templates suit simpler portfolios; complex models are connected from your own environment rather than rebuilt in the product.

Next steps

Book a demonstration or a technical briefing at www.moraph.com/solutions/stress-testing-and-capital-planning-dfast. Purchasing routes and company information: www.moraph.com/how-to-buy.